This seems to be a known problem/issue with Audacity:
Source: Wrong Cover Art - Audacity Forum (Thu May 28, 2020 7:32 pm)
Audacity does not support cover art, so any audio files exported from Audacity are guaranteed to not have embedded artwork.
Source: Wrong Cover Art - Audacity Forum (Thu May 28, 2020 7:52 pm)
The Metadata Editor in Audacity does not show a cover art field, because Audacity does not support cover art. There's a long-standing feature request for Audacity to embed artwork, but so far it doesn't, and there are no immediate plans to embed images in exported files.
I don't see anything that Mp3tag could do in this matter in any way.